The so-called Leonidaion baths, situated outside the south-west corner of the Altis, owe their name to the nearby guesthouse (though the two buildings were not related). This well-preserved monument is unique in Olympia in that it preserves its original height and roof. Built in the third century AD, it remained in use until the sixth century and was remodeled several times.

The baths were part of an extensive building complex, now largely destroyed, which lay north of the baths and west of the Leonidaion, and included a guesthouse. The complex comprised a central court surrounded by living quarters, storerooms and service spaces. The baths, situated in the south wing of the complex, comprised four small rooms with vaulted ceilings and beautiful mosaic floors, still visible today. The hydraulic system and heating were remarkable; the latter consisted of a network of pipes which channeled hot air inside the hollow walls. By the fifth century AD, the building's use had changed: a grape press occupied one of the rooms and a glass workshop another, as indicated by a kiln discovered in the building's south-west corner.

The building's mosaic floors have been conserved and a shelter erected over part of the building where the roof subsided.